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The Gray-Wyner network subject to a fidelity criterion is studied. Upper and lower bounds for the trade-offs between the private sum-rate and the common rate are obtained for arbitrary sources subject to mean-squared error distortion. The bounds meet exact ...
This thesis consists of three applications of machine learning techniques to empirical asset pricing.In the first part, which is co-authored work with Oksana Bashchenko, we develop a new method that detects jumps nonparametrically in financial time series ...
Founders benefit from identifying with their founding teams because identification facilitates cooperation in the team, aligns founders' actions with the norms and interests of the team, and, ultimately, enhances team performance. High identification with ...
We consider the problem of information aggregation in federated decision making, where a group of agents collaborate to infer the underlying state of nature without sharing their private data with the central processor or each other. We analyze the non-Bay ...
We study the effects of takeover feasibility on asset prices and returns in a unified framework. We show theoretically that takeover protections increase equity risk, stock returns, and bond yields by removing a valuable put option to sell the firm, notabl ...
This article presents a portfolio construction approach that combines the hierarchical clustering of a large asset universe with the stock price momentum. On one hand, investing in high-momentum stocks enhances returns by capturing the momentum premium. On ...
Using data on international equity portfolio allocations by U.S. mutual funds, we estimate a portfolio expression derived from a standard mean-variance portfolio model extended with portfolio frictions. The optimal portfolio depends on the previous month a ...
The green bond market's rapid growth has alerted issuers and investors to this sustainable area of investment. This study ascertains whether green bonds are priced lower than conventional bonds-whether a negative green bond premium exists in both Chinese a ...
Central banks are increasingly concerned about climate-related risks and want to ensure that the financial system is resilient to them. As they integrate these risks into financial stability monitoring, they also discuss how to apply environmental criteria ...
Space exploration is a field that inspires a wide range of people, from children to university students, including the general public. With a return to the Moon planned for 2024 and the rapid expansion of the private industry, educating the next generation ...
